Ambiguous Volatility and Asset Pricing in Continuous Time
构建了一个连续时间框架下的效用模型，同时捕捉对波动率和漂移的模糊厌恶，并推导了无套利定价规则和均衡资产回报，对消费资本资产定价模型进行了扩展。
We formulate a model of utility for a continuous-time framework that captures aversion to ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are presented. First, we derive arbitrage-free pricing rules based on hedging arguments. Because ambiguous volatility implies market incompleteness, hedging arguments determine prices only up to intervals. In order to obtain sharper predictions, we apply the model of utility to a representative agent endowment economy and study equilibrium asset returns. A version of the consumption capital asset pricing model is derived, and the effects of ambiguous volatility are described. The Author 2013. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.